将MATLAB中的LARS代码转换为犰狳

问题描述

我正在尝试将站点LARS中MATLAB中的lars代码转换为犰狳。我实现了lars部分，它可以正常工作。但是套索修改部分有一些问题。删除变量后，我的代码无法正确运行。代码的相关部分如下。

在代码中，我用C ++实现了cholinsert和choldelete。此外，add，add1和delete函数可以将变量插入或删除有效集和无效集。

当我在套索中必须放置变量的设置上运行代码时，出现以下错误消息：

Step    Add Drop Active set size
1       19  x    1
2       29  x    2
3       39  x    3
4       28  x    4
5       25  x    5
6       16  x    6
7       38  x    7
8       5   x    8
9       3   x    9
10      6   x    10
11      13  x    11
12      8   x    12
13      30  x    13
14      31  x    14
15      15  x    15
16      21  x    16
17      26  x    17
18      11  x    18
19      10  x    19
19      x   2    18

error: element-wise multiplication: incompatible matrix dimensions: 19x19 and 18x19
Error in lars_lasso(X,y,"lasso",T,T) : 
  element-wise multiplication: incompatible matrix dimensions: 19x19 and 18x19

那么...我的错误在哪里？

在MATLAB中：

if ~lassocond % if a variable has been dropped,do one iteration with this configuration (don't add new one right away)
  if ~useGram
    R = cholinsert(R,X(:,j),A));
  end
  A = [A j];
  I(I == j) = [];
  vars = vars + 1;
  if trace
    disp(sprintf('%d\t\t%d\t\t\t\t\t%d',k,j,vars));
  end
end

% LASSO modification
if lasso
  lassocond = 0;
  temp = -beta(k,A)./w';
  [gamma_tilde] = min([temp(temp > 0) gamma]);
  j = find(temp == gamma_tilde);
  if gamma_tilde < gamma,gamma = gamma_tilde;
    lassocond = 1;
  end
end

% If LASSO condition satisfied,drop variable from active set
if lassocond == 1
  if ~useGram
    R = choldelete(R,j);
  end
  I = [I A(j)];
  A(j) = [];
  vars = vars - 1;
  if trace
    disp(sprintf('%d\t\t\t\t%d\t\t\t%d',vars));
  end
  end

在C ++（Armadillo）中：

if (!lassocond){ // if a variable has been dropped,do one iteration with this configuration (don't add new one right away)
  if (!useGram){
    R = cholinsert(R,X.col(j),X.cols(A));
  }
  
  A = add(A,j);
  I = delete(I,j);
  vars = vars + 1;
  if (trace){
    Rcpp::Rcout << k+1 << "\t" << j+1 << "\t" << "x" << "\t" << vars << std::endl;
  }
}

// LASSO modification
if (lasso){
  lassocond = false;
  kvec = {k};
  temp = -beta.submat(kvec,A)/w.t();
  arma::vec tempff = temp.elem(arma::find(temp > 0));
  double gamma_tilde = add1(tempff,gamma).min();
  arma::uvec indj = arma::find(tempff == gamma_tilde);
  j = indj(0);
  if (gamma_tilde < gamma){
    gamma = gamma_tilde;
    lassocond = true;
  }
}

// If LASSO condition satisfied,drop variable from active set
if (lassocond){
  if (!useGram){
    R = choldelete(R,j);
  }
  I = add(I,A(j));
  A = delete(A,j);
  vars = vars - 1;
  if (trace){
    Rcpp::Rcout << k+1 << "\t" << "x" << "\t" << j+1 << "\t" << vars << std::endl;
  }
}

解决方法

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